Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1001
Annualized Std Dev 0.2080
Annualized Sharpe (Rf=0%) 0.4810

Row

Daily Return Statistics

Close
Observations 4503.0000
NAs 1.0000
Minimum -0.1204
Quartile 1 -0.0046
Median 0.0008
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0061
Maximum 0.1196
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0131
Skewness -0.2289
Kurtosis 11.8868

Downside Risk

Close
Semi Deviation 0.0095
Gain Deviation 0.0095
Loss Deviation 0.0108
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.6091
Historical VaR (95%) -0.0188
Historical ES (95%) -0.0323
Modified VaR (95%) -0.0188
Modified ES (95%) -0.0275
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2012-09-12 -0.6091 1331 444 887
2020-02-13 2020-03-23 2020-11-09 -0.3963 188 27 161
2018-09-24 2018-12-24 2019-07-03 -0.2062 195 64 131
2015-05-22 2016-02-11 2016-07-14 -0.1799 289 183 106
2018-01-29 2018-02-08 2018-08-29 -0.0990 149 9 140

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA -0.3 2 0.3 -0.6 0.6 1.8 0 1.2 0.1 5.1
2004 0.1 1.3 0.6 -0.5 -0.1 -1.4 0.2 0.3 1.6 0.1 1.4 0 3.7
2005 0.7 0.7 -0.3 1 1 0.3 0 -0.2 0.5 -0.1 1.5 -0.6 4.5
2006 0.4 1 0 -0.5 1.2 -0.1 -0.6 0.4 -0.4 -0.8 -0.4 -0.4 -0.3
2007 0.7 -0.3 0 0.2 0.4 -0.2 0.4 1.2 1.4 -2.7 1.2 -0.6 1.5
2008 2.1 -2.8 4.5 2.2 0.2 0.2 -0.6 -0.8 -0.2 2.1 -9.1 2.5 -0.4
2009 -3.2 -1.8 2.1 0.5 3.6 0.6 0 -2.7 -3.2 -3 1.3 -1.1 -6.9
2010 1.7 1.7 0.8 -1.9 -2.4 -0.2 0.1 3.1 0.3 -0.2 2.2 -0.1 5.1
2011 1.4 -1.8 0.5 0.2 -2.4 1.5 -0.8 -1.4 -2.8 -3.1 -0.1 -0.5 -8.8
2012 1.3 0.6 0.3 0.6 -2.8 2.8 -0.4 0.5 0.1 1.4 0.1 1.9 6.6
2013 0.9 0.4 -0.5 -1 -1.4 0.9 1.5 -0.5 0.8 0.3 -0.2 0.3 1.4
2014 -0.5 0.3 0.8 0 0.1 0.5 -0.2 0.4 -1.3 1.2 -0.8 -0.9 -0.4
2015 -1.3 -0.2 -0.3 1 0.2 0.6 0 -2.8 -0.2 -0.1 0.9 -0.8 -2.9
2016 0 2.3 0.4 -0.6 0.2 0.3 -0.4 0 0.8 -0.8 -0.3 -0.3 1.6
2017 -0.2 1.2 -0.1 0 1 0.3 0.1 0.4 0.3 0 -0.2 -0.4 2.5
2018 -0.2 -1.1 1.3 0 0.8 0.2 -0.6 0 0 1.5 0.4 0.8 3.1
2019 0.2 0.7 1.3 -1 -1.1 0.7 -1.3 0 -1.6 1.2 -0.4 0.4 -0.9
2020 -2 -1.1 -4.9 -3.6 1.2 -0.1 0 0.5 0.4 -0.3 0.9 0.6 -8.4
2021 1.3 2.3 -0.2 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-04-30  25.6 SPY    91.9  0.0013 -0.00290   0.0846   0.0628   -0.148   -0.354       NA <NA>     NA    NA       NA
2 2003-05-01  25.5 SPY    91.9 -0.0001  0.0059    0.0681   0.0885   -0.158   -0.380       NA <NA>     NA    NA       NA
3 2003-05-02  26.0 SPY    93.2  0.0143  0.033     0.0578   0.0831   -0.143   -0.364       NA <NA>     NA    NA       NA
4 2003-05-05  26.0 SPY    93.0 -0.0019  0.0135    0.0608   0.0789   -0.135   -0.363       NA <NA>     NA    NA       NA
5 2003-05-06  26.2 SPY    93.9  0.0095  0.0231    0.0645   0.0999   -0.110   -0.353       NA <NA>     NA    NA       NA
6 2003-05-07  26.1 SPY    93.4 -0.0055  0.0161    0.0606   0.101    -0.111   -0.365       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart